Our big TSLA covered call study
Selling covered calls in TSLA for the past 6 years
I’m excited to unveil a study Mark Phillips and I have been working on since late 2024. We presented it on an X livestream on Thursday:
The video is 90 minutes and loaded not just with results but education.
We break down:
- Why covered calls are more than just “income” strategies 📉
- How volatility and path dependency impact performance 📊
- The nuances of delta hedging and risk normalization ⚖️
- How indicators like IV, VRP, and skew perform vs a naive strategy ✅
- The tradeoffs between indicator accuracy and sample size 🚀
Whether you’re new to options or managing advanced strategies, this deep dive will sharpen your understanding of volatility P&L, trading mechanics, and how even simple strategies have complex outcomes.
🎯 Key Takeaways
- Covered calls = long delta, short vol
- Separate volatility P&L from directional P&L to assess strategy mechanics
- Option backtests involve many design choices—beware of hidden assumptions
- Writing calls on single names vs indexes brings ironic tradeoffs
- Volatility pricing is often efficient, especially in liquid names
- Most 1-month option P&L comes from realized vol, not just theta decay
Written recap
✍🏽Mark did a wrote up a recap including our tables: Dialing in on TSLA covered calls